Simple...

Some email clients will auto format URLs, phone numbers and email addresses.

The easiest way to keep your own styling and to override auto formatting is to get ahead of it and set your own styles as a link.

If you don't, the client will wrap your url/number/email and the styles will basically be the basic link styling, bright blue and underlined.

Clients like Gmail are constantly messing with their rendering engines and so these techniques aren't future proof.

For example, this technique posted by Andrea doesn't work for me.